Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 25 (1D) | Nov 26 (2D) | Nov 27 (3D) | Nov 28 (4D) | Dec 01 (7D) | Dec 02 (8D) | Dec 03 (9D) | Dec 04 (10D) | Dec 05 (11D) | Dec 08 (14D) | Dec 12 (18D) | Dec 19 (25D) | Dec 26 (32D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 661.547 | 658.572 | 656.289 | 654.365 | 649.727 | 648.415 | 647.182 | 646.017 | 644.908 | 641.855 | 638.257 | 632.817 | 628.099 |
| upper | 675.913 | 678.888 | 681.171 | 683.095 | 687.733 | 689.045 | 690.278 | 691.443 | 692.552 | 695.605 | 699.203 | 704.643 | 709.361 |
| expected move | 7.183 | 10.158 | 12.441 | 14.365 | 19.003 | 20.315 | 21.548 | 22.713 | 23.822 | 26.875 | 30.473 | 35.913 | 40.631 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
